Fitch Assigns Final Ratings to DBJPM 2016-C1 Mortgage Trust Commercial Mtge Trust Pass-Thru Ctfs
OREANDA-NEWS. Fitch Ratings has assigned the following ratings and Rating Outlooks to Deutsche Bank Securities, Inc.'s DBJPM 2016-C1 Mortgage Trust commercial mortgage pass-through certificates:
--$28,858,000 class A-1 'AAAsf'; Outlook Stable;
--$35,000,000 class A-2 'AAAsf'; Outlook Stable;
--$46,052,000 class A-SB 'AAAsf'; Outlook Stable;
--$140,000,000 class A-3A 'AAAsf'; Outlook Stable;
--$247,714,000 class A-4 'AAAsf'; Outlook Stable;
--$637,044,000b class X-A 'AAAsf'; Outlook Stable;
--$64,420,000 class A-M 'AAAsf'; Outlook Stable;
--$50,105,000 class B 'AA-sf'; Outlook Stable;
--$35,789,000 class C 'A-sf'; Outlook Stable;
--$75,000,000a class A-3B 'AAAsf'; Outlook Stable;
--$85,894,000ab class X-B 'A-sf'; Outlook Stable;
--$38,856,000ab class X-C 'BBB-sf'; Outlook Stable;
--$17,384,000ab class X-D 'BB-sf'; Outlook Stable;
--$38,856,000a class D 'BBB-sf'; Outlook Stable;
--$17,384,000a class E 'BB-sf'; Outlook Stable;
--$8,180,000a class F 'B-sf'; Outlook Stable.
(a) Privately placed and pursuant to Rule 144A.
(b) Notional amount and interest-only.
Fitch does not rate the $16,360,000 interest-only class X-E, the $22,496,828 interest-only class X-F, the $8,180,000 class G, or the $22,496,828 class H.
The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 45 commercial properties having an aggregate principal balance of $818,034,828 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation and JP Morgan Chase Bank, National Association.
Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 85.3% of the properties by balance and asset summary reviews and cash flow analysis of 92.6% of the pool.
KEY RATING DRIVERS
Low Fitch Leverage: This transaction has lower leverage than other recent Fitch-rated transactions. The Fitch debt service coverage ratio (DSCR) for the trust is 1.25x, while the year-to-date (YTD) 2016 and 2015 averages are 1.14x and 1.18x, respectively. The Fitch loan-to-value (LTV) for the trust is 98.7%, which is lower than the YTD 2016 and 2015 averages of 108.7% and 109.3%, respectively. Excluding the credit-opinion loans (14.7% of the pool), the Fitch DSCR and LTV are 1.21x and 105.7%.
High Pool Concentration: The pool is more concentrated than other recent Fitch-rated multiborrower transactions. The top 10 loans comprise 56.8% of the pool, which is in-line with the recent averages of 56.2% for YTD 2016 and above the 2015 average of 49.3%. Additionally, the loan concentration index (LCI) and sponsor concentration index (SCI) are 472 and 555, above the respective 2015 averages of 367 and 410.
Investment-Grade Credit Opinion Loans: The transaction has two credit opinion loans, totaling 14.7% of the pool. 787 Seventh Avenue (9.8% of the pool) is the largest loan in the transaction and has an investment-grade credit opinion of 'BBB+sf' on a stand-alone basis. 225 Liberty Street (5% of the pool) is the fifth largest loan in the transaction and has an investment-grade credit rating of 'BBBsf' on a stand-alone basis. Excluding these loans, the conduit has a respective Fitch stressed DSCR and LTV of 1.21x and 105.7%.
For this transaction, Fitch's net cash flow (NCF) was 11.5% below the most recent year's net operating income (NOI; for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and could result in potential rating actions on the certificates.
Fitch evaluated the sensitivity of the ratings assigned to DBJPM 2016-C1 certificates and found that the transaction displays average sensitivity to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 11.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Ernst & Young, LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each of the 33 mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.